search query: @indexterm financial management / total: 951
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| Author: | Sheng, H.-C. Tu, A. |
| Title: | A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis |
| Journal: | Journal of Multinational Financial Management
2000 : SEP-DEC, VOL. 10:3/4, p. 345-366 |
| Index terms: | FINANCIAL MANAGEMENT COINTEGRATION ASIA |
| Language: | eng |
| Abstract: | This study uses a cointegration and variance decomposition analysis to examine the linkages among the stock markets of 12 Asia-Pacific countries, before and during the period of the Asian financial crisis. Johansen (1988) multivariate cointegration and error-correction tests demonstrate evidence in support of the existence of cointegration relationship among the national stock indices during, but not before, the period of financial crises. |
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